Stock liquidity and price momentum

Date

2012

Authors

Chen, J.L.

Editors

Advisors

Journal Title

Journal ISSN

Volume Title

Type:

Journal article

Citation

Journal of Accounting, Finance and Management Strategy, 2012; 7(1):15-26

Statement of Responsibility

Jiun-Lin Chen

Conference Name

Abstract

This paper investigates whether momentum is related to liquidity and institutional holding. Our empirical study shows several interesting results. First, high turnover stocks tend to have stronger momentum, which can not be explained by under-reaction model. Second, a new liquidity measure developed by Liu (2006) is negatively related to price momentum. Third, when controlled for firm size, firms with more institutional ownership tend to exhibit higher momentum, particular in small firms. The result is consistent with institution's positive feedback trading. These evidences suggest that investors can choose small firms with high institutional ownership or higher turnover to exploit stronger momentum profit.

School/Discipline

Dissertation Note

Provenance

Description

Access Status

Rights

Copyright status unknown

License

Grant ID

Published Version

Call number

Persistent link to this record